Euler estimates for rough differential equations

DOI10.1016/j.jde.2007.10.008zbMath1140.60037arXivmath/0602345OpenAlexW1972736027MaRDI QIDQ2467726

Nicolas Victoir, Peter K. Friz

Publication date: 28 January 2008

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0602345

zbMATH Keywords

stochastic Taylor expansionsuniversal limit theoremrough differential equationEuler estimatesstrong remainder estimates

Mathematics Subject Classification ID

Theoretical approximation of solutions to ordinary differential equations (34A45) Random operators and equations (aspects of stochastic analysis) (60H25)

Related Items (20)

ANOTHER APPROACH TO SOME ROUGH AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS ⋮ On refined volatility smile expansion in the Heston model ⋮ Global Solutions to Rough Differential Equations with Unbounded Vector Fields ⋮ A version of Hörmander's theorem for the fractional Brownian motion ⋮ Flows Driven by Banach Space-Valued Rough Paths ⋮ The non-linear sewing lemma III: stability and generic properties ⋮ The accessibility problem for geometric rough differential equations ⋮ Differential equations driven by rough paths with jumps ⋮ Malliavin calculus and rough paths ⋮ A stochastic Taylor-like expansion in the rough path theory ⋮ On uniformly subelliptic operators and stochastic area ⋮ A probability maximization model based on rough approximation and its application to the inventory problem ⋮ Densities for rough differential equations under Hörmander's condition ⋮ The non-linear sewing lemma. II. Lipschitz continuous formulation ⋮ Rough path limits of the Wong-Zakai type with a modified drift term ⋮ Partial differential equations driven by rough paths ⋮ An isomorphism between branched and geometric rough paths ⋮ Yet another introduction to rough paths ⋮ Constructing general rough differential equations through flow approximations ⋮ Rough path recursions and diffusion approximations

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